Google

Aviso: Se está a ler esta mensagem, provavelmente, o browser que utiliza não é compatível com os "standards" recomendados pela W3C. Sugerimos vivamente que actualize o seu browser para ter uma melhor experiência de utilização deste "website". Mais informações em webstandards.org.

Warning: If you are reading this message, probably, your browser is not compliant with the standards recommended by the W3C. We suggest that you upgrade your browser to enjoy a better user experience of this website. More informations on webstandards.org.

Instituto Superior de Economia e Gestão (ISEG)

Eventos

ISEG 2S | A General Theory of time Inconsistent Control

Em 20-09-2013 às 14:00 / Quelhas 6 | Floor 3 | CTT Room

 

Speaker
Tomas Bjork
Stockholm School of Economics


Presentation

A General Theory of time Inconsistent Control


Abstract
We develop a theory for stochastic control problems which, in various ways, are time inconsistent in the sense that they do not admit a Bellman optimality principle. We attach these problems by viewing them within a game theoretic framework, and we look for Nash subgame perfect equilibrium points. For a general controlled Markov process and a fairly general objective functional we derive an extension of the standard Hamilton-Jacobi-Bellman equation, in the form of a system of non-linear
equations, for the determination for the equilibrium strategy as well as the equilibrium value function. All known examples of time inconsistency in the literature are easily seen to be special cases of the present theory.
We also prove that for every time inconsistent problem, there exists an associated time consistent problem such that the optimal control and the optimal value function for the consistent problem coincides with the equilibrium control and value function respectively for the time inconsistent problem. We also study some concrete examples.


Complete calendar
To see the full calendar please click here.

ORGANIZING TEAM
This seminars series is organized by Joana Pais (ECO), Raquel M. Gaspar (FIN/MG) and Isabel Proença (QM).


MEETING THE SPEAKER
All speakers are available to meet faculty at ISEG before the talk. Slots are limited. To book your time with the speaker, contact one of the coordination team members.

MAILING LIST
To join the ISEG 2S Seminar Mailing List and receive regular information contact Filomena Ferreira.


PARKING
If you come to the seminars at ISEG by car, please contact Filomena Ferreira to assure your entrance into the park.